VolatilityParameter Class Reference

#include <ored/model/modelparameter.hpp>

Inheritance diagram for VolatilityParameter:

Collaboration diagram for VolatilityParameter:

Public Member Functions
	VolatilityParameter ()
	Default constructor. More...
	VolatilityParameter (LgmData::VolatilityType volatilityType, bool calibrate, ParamType type, std::vector< QuantLib::Time > times, std::vector< QuantLib::Real > values)
	Constructor for piecewise volatility with an explicit volatility type. More...
	VolatilityParameter (LgmData::VolatilityType volatilityType, bool calibrate, QuantLib::Real value)
	Constructor for constant volatility with an explicit volatility type. More...
	VolatilityParameter (bool calibrate, ParamType type, std::vector< QuantLib::Real > times, std::vector< QuantLib::Real > values)
	Constructor for piecewise volatility without an explicit volatility type. More...
	VolatilityParameter (bool calibrate, QuantLib::Real value)
	Constructor for constant volatility without an explicit volatility type. More...
Inspectors
const boost::optional< LgmData::VolatilityType > &	volatilityType () const
Public Member Functions inherited from ModelParameter
	ModelParameter ()
	Default constructor. More...
	ModelParameter (bool calibrate, ParamType type, std::vector< QuantLib::Time > times, std::vector< QuantLib::Real > values)
	Detailed constructor. More...
bool	calibrate () const
ParamType	type () const
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Real > &	values () const
void	setTimes (std::vector< Real > times)
void	setValues (std::vector< Real > values)
void	mult (const Real f)
void	setCalibrate (const bool b)
Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()
virtual void	fromXML (XMLNode *node)=0
virtual XMLNode *	toXML (XMLDocument &doc) const =0
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
	Parse from XML string. More...
std::string	toXMLString () const
	Parse from XML string. More...

Serialisation
boost::optional< LgmData::VolatilityType >	volatilityType_
void	fromXML (XMLNode *node) override
XMLNode *	toXML (XMLDocument &doc) const override

Additional Inherited Members
Protected Member Functions inherited from ModelParameter
void	append (XMLDocument &doc, XMLNode *node) const
	Method used by toXML in derived classes to add the members here to a node. More...
virtual void	check () const
	Perform some checks on the parameters. More...

Detailed Description

Volatility model parameter with optional volatility type.

Note

The volatility type is currently an LGM volatility type. We may want to broaden this in future.

Definition at line 90 of file modelparameter.hpp.

Constructor & Destructor Documentation

VolatilityParameter() [1/5]

VolatilityParameter

(

)

Default constructor.

Definition at line 91 of file modelparameter.cpp.

    : volatilityType_(LgmData::VolatilityType::Hagan) {}

VolatilityParameter() [2/5]

VolatilityParameter	(	LgmData::VolatilityType	volatilityType,
		bool	calibrate,
		ParamType	type,
		std::vector< QuantLib::Time >	times,
		std::vector< QuantLib::Real >	values
	)

Constructor for piecewise volatility with an explicit volatility type.

VolatilityParameter() [3/5]

VolatilityParameter	(	LgmData::VolatilityType	volatilityType,
		bool	calibrate,
		QuantLib::Real	value
	)

Constructor for constant volatility with an explicit volatility type.

Definition at line 98 of file modelparameter.cpp.

    : ModelParameter(calibrate, ParamType::Constant, {}, {value}), volatilityType_(volatilityType) {}

VolatilityParameter() [4/5]

VolatilityParameter	(	bool	calibrate,
		ParamType	type,
		std::vector< QuantLib::Real >	times,
		std::vector< QuantLib::Real >	values
	)

Constructor for piecewise volatility without an explicit volatility type.

VolatilityParameter() [5/5]

VolatilityParameter	(	bool	calibrate,
		QuantLib::Real	value
	)

Constructor for constant volatility without an explicit volatility type.

Definition at line 104 of file modelparameter.cpp.

    : ModelParameter(calibrate, ParamType::Constant, {}, {value}) {}

Member Function Documentation

volatilityType()

const boost::optional< LgmData::VolatilityType > & volatilityType

(

)

const

Definition at line 107 of file modelparameter.cpp.

                                                                                      {
    return volatilityType_;
}

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fromXML()

void fromXML ( XMLNode *  node )

overridevirtual

Reimplemented from ModelParameter.

Definition at line 111 of file modelparameter.cpp.

                                               {
    XMLUtils::checkNode(node, "Volatility");
    if (XMLNode* n = XMLUtils::getChildNode(node, "VolatilityType")) {
        volatilityType_ = parseVolatilityType(XMLUtils::getNodeValue(n));
    }
    ModelParameter::fromXML(node);
}

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toXML()

XMLNode * toXML ( XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 119 of file modelparameter.cpp.

                                                          {
    XMLNode* node = doc.allocNode("Volatility");
    if (volatilityType_)
        XMLUtils::addChild(doc, node, "VolatilityType", to_string(*volatilityType_));
    ModelParameter::append(doc, node);
    return node;
}

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Member Data Documentation

volatilityType_

boost::optional<LgmData::VolatilityType> volatilityType_

private

Definition at line 123 of file modelparameter.hpp.